%% This BibTeX bibliography file was created using BibDesk.
%% https://bibdesk.sourceforge.io/

%% Created for Léo Aparisi de Lannoy at 2022-02-27 15:29:27 -0600 


%% Saved with string encoding Unicode (UTF-8) 

@preamble{" \newcommand{\noop}[1]{} "}
@comment{jabref-meta: databaseType:bibtex;}

@article{aiyagari1994uninsured,
    author    = {Aiyagari, S. Rao},
    title     = {{Uninsured Idiosyncratic Risk and Aggregate Saving}},
    journal   = {The Quarterly Journal of Economics},
    volume    = {109},
    number    = {3},
    pages     = {659--684},
    year      = {1994},
    publisher = {Oxford University Press}
}

@article{AAHW2019,
    author  = {Aguiar, Mark and Amador, Manuel and Hopenhayn, Hugo and Werning, Ivan},
    title   = {{Take the Short Route: Equilibrium Default and Debt Maturity}},
    journal = {Econometrica},
    volume  = {87},
    number  = {2},
    pages   = {423--462},
    year    = {2019}
}
@article{BansalColemanJPE1996,
    author    = {Bansal, Ravi and Coleman II, John Wilbur},
    title     = {A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles},
    journal   = {J.P.E.},
    volume    = {104},
    month     = {December},
    pages     = {1135--1171},
    year      = {1996}
}

@article{Bigio_etalJPEM2023,
    author  = {Bigio, Saki and Nuno, Galo and Passadore, Juan},
    title   = {{Debt-Maturity Management with Liquidity Costs}},
    journal = {Journal of Political Economy Macroeconomics},
    volume  = {1},
    number  = {1},
    pages   = {119--190},
    year    = {2023}
}

@article{BocolaDovisAER2019,
    author  = {Bocola, Luigi and Dovis, Alessandro},
    title   = {{Self-Fulfilling Debt Crises: A Quantitative Analysis}},
    journal = {American Economic Review},
    volume  = {109},
    number  = {12},
    pages   = {4343--77},
    year    = {2019},
    month   = {December}
}

@article{BaiLiLuJBES2016,
    author  = {Bai, Jushan and Li, Kunpeng and Lu, Lina},
    title   = {{Estimation and Inference of FAVAR Models}},
    journal = {Journal of Business \& Economic Statistics},
    volume  = {34},
    number  = {4},
    pages   = {620--641},
    year    = {2016}
}

@article{Bernanke_etalQJE2005,
    author  = {Bernanke, Ben S. and Boivin, Jean and Eliasz, Piotr},
    title   = {{Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach}},
    journal = {The Quarterly Journal of Economics},
    volume  = {120},
    number  = {1},
    pages   = {387--422},
    year    = {2005}
}

@incollection{ChariKehoe1999,
    author    = {Chari, V. V. and Kehoe, Patrick J.},
    title     = {{Chapter 26 Optimal Fiscal and Monetary Policy}},
    booktitle = {Handbook of Macroeconomics},
    publisher = {Elsevier},
    volume    = {1},
    pages     = {1671--1745},
    year      = {1999}
}

@article{ChenColeLustig_restud2011,
    author  = {Chien, Yili and Cole, Harold and Lustig, Hanno},
    title   = {{A Multiplier Approach to Understanding the Macro Implications of Household Finance}},
    journal = {Review of Economic Studies},
    volume  = {78},
    number  = {1},
    pages   = {199--234},
    year    = {2011},
    month   = {January}
}

@article{gurkaynak2007us,
    author    = {G{\"u}rkaynak, Refet S. and Sack, Brian and Wright, Jonathan H.},
    title     = {{The US Treasury Yield Curve: 1961 to the Present}},
    journal   = {Journal of Monetary Economics},
    volume    = {54},
    number    = {8},
    pages     = {2291--2304},
    year      = {2007},
    publisher = {Elsevier}
}

@techreport{GolosovTsyvinskiWerquin,
    author      = {Golosov, Mikhail and Tsyvinski, Aleh and Werquin, Nicolas},
    title       = {{A Variational Approach to the Analysis of Tax Systems}},
    institution = {National Bureau of Economic Research},
    type        = {Working Paper},
    series      = {Working Paper Series},
    number      = {20780},
    year        = {2014},
    month       = {December}
}

@article{GuvenenEtAllJPE2014,
    author  = {Guvenen, Fatih and Ozkan, Serdar and Song, Jae},
    title   = {{The Nature of Countercyclical Income Risk}},
    journal = {Journal of Political Economy},
    volume  = {122},
    number  = {3},
    pages   = {621--660},
    year    = {2014}
}

@article{senneret2016covariance,
    author    = {Senneret, Marc and Malevergne, Yannick and Abry, Patrice and Perrin, Gerald and Jaffres, Laurent},
    title     = {{Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation}},
    journal   = {IEEE Journal of Selected Topics in Signal Processing},
    volume    = {10},
    number    = {6},
    pages     = {982--993},
    year      = {2016},
    publisher = {IEEE}
}

@article{StoreslettenTelmerYaronJPE2004,
    author  = {Storesletten, Kjetil and Telmer, Chris and Yaron, Amir},
    title   = {{Cyclical Dynamics in Idiosyncratic Labor Market Risk}},
    journal = {Journal of Political Economy},
    volume  = {112},
    number  = {3},
    pages   = {695--717},
    year    = {2004}
}

@article{craig2000asset,
    author    = {MacKinlay, A. Craig and Pastor, Lubos},
    title     = {{Asset Pricing Models: Implications for Expected Returns and Portfolio Selection}},
    journal   = {Review of Financial Studies},
    volume    = {13},
    number    = {4},
    pages     = {883--916},
    year      = {2000},
    publisher = {Oxford University Press}
}

@article{michaud1989markowitz,
    author    = {Michaud, Richard O.},
    title     = {{The Markowitz Optimization Enigma: Is 'Optimized' Optimal?}},
    journal   = {Financial Analysts Journal},
    volume    = {45},
    number    = {1},
    pages     = {31--42},
    year      = {1989},
    publisher = {Taylor \& Francis}
}

@article{merton1980estimating,
    author    = {Merton, Robert C.},
    title     = {{On Estimating the Expected Return on the Market: An Exploratory Investigation}},
    journal   = {Journal of Financial Economics},
    volume    = {8},
    number    = {4},
    pages     = {323--361},
    year      = {1980},
    publisher = {Elsevier}
}

@article{jobson1980estimation,
    author    = {Jobson, J. David and Korkie, Bob},
    title     = {{Estimation for Markowitz Efficient Portfolios}},
    journal   = {Journal of the American Statistical Association},
    volume    = {75},
    number    = {371},
    pages     = {544--554},
    year      = {1980},
    publisher = {Taylor \& Francis}
}

@article{chan1999portfolio,
    author    = {Chan, Louis K. C. and Karceski, Jason and Lakonishok, Josef},
    title     = {{On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model}},
    journal   = {Review of Financial Studies},
    volume    = {12},
    number    = {5},
    pages     = {937--974},
    year      = {1999},
    publisher = {Oxford University Press}
}

@book{cochrane2005asset,
    author    = {Cochrane, John H.},
    title     = {{Asset Pricing: Revised Edition}},
    publisher = {Princeton University Press},
    year      = {2005}
}

@book{DUFFEE2013907,
    author    = {Duffee, Gregory R.},
    title     = {{Bond Pricing and the Macroeconomy}},
    booktitle = {Handbook of the Economics of Finance},
    editor    = {Constantinides, George M. and Harris, Milton and Stulz, Rene M.},
    publisher = {Elsevier},
    volume    = {2},
    pages     = {907--967},
    year      = {2013}
}

@article{guo2020monetary,
    author    = {Guo, Haifeng and Kontonikas, Alexandros and Maio, Paulo},
    title     = {{Monetary Policy and Corporate Bond Returns}},
    journal   = {Review of Asset Pricing Studies},
    volume    = {10},
    number    = {3},
    pages     = {441--489},
    year      = {2020},
    publisher = {Oxford University Press}
}

@techreport{cochrane2008decomposing,
    author  = {Cochrane, John H. and Piazzesi, Monika},
    title   = {{Decomposing the Yield Curve}},
    type    = {Working Paper},
    year    = {2008}
}

@article{koijen2017cross,
    author    = {Koijen, Ralph S. J. and Lustig, Hanno and Van Nieuwerburgh, Stijn},
    title     = {{The Cross-Section and Time Series of Stock and Bond Returns}},
    journal   = {Journal of Monetary Economics},
    volume    = {88},
    pages     = {50--69},
    year      = {2017},
    publisher = {Elsevier}
}

@article{mcculloch1975tax,
    author    = {McCulloch, J. Huston},
    title     = {{The Tax-Adjusted Yield Curve}},
    journal   = {Journal of Finance},
    volume    = {30},
    number    = {3},
    pages     = {811--830},
    year      = {1975},
    publisher = {Wiley Online Library}
}

@article{Acemoglu_etal_Ecta2008,
    author  = {Acemoglu, Daron and Golosov, Mikhail and Tsyvinski, Aleh},
    title   = {{Political Economy of Mechanisms}},
    journal = {Econometrica},
    volume  = {76},
    number  = {3},
    pages   = {619--641},
    year    = {2008}
}

@article{AndolfattoWilliamsonJME2015,
    author  = {Andolfatto, David and Williamson, Stephen},
    title   = {{Scarcity of Safe Assets, Inflation, and the Policy Trap}},
    journal = {Journal of Monetary Economics},
    volume  = {73},
    pages   = {70--92},
    year    = {2015}
}

@article{AiBansalECMA2018,
    author  = {Ai, Hengjie and Bansal, Ravi},
    title   = {{Risk Preferences and the Macroeconomic Announcement Premium}},
    journal = {Econometrica},
    volume  = {86},
    number  = {4},
    pages   = {1383--1430},
    year    = {2018}
}

@inbook{Aguiar_etalHandbookMacro2016,
    author    = {Aguiar, Mark and Chatterjee, Satyajit and Cole, Harold and Stangebye, Zachary},
    title     = {{Quantitative Models of Sovereign Debt Crises}},
    booktitle = {Handbook of Macroeconomics},
    publisher = {Elsevier},
    volume    = {2},
    pages     = {1697--1755},
    year      = {2016},
    month     = {August}
}

@techreport{Aguiar_etalWP2016,
    author      = {Aguiar, Mark and Amador, Manuel and Hopenhayn, Hugo and Werning, Iv{\'a}n},
    title       = {{Take the Short Route: Equilibrium Default and Debt Maturity}},
    institution = {National Bureau of Economic Research, Inc},
    type        = {NBER Working Papers},
    number      = {22847},
    year        = {2016},
    month       = {November}
}

@misc{Ai2019identifying,
    author = {Ai, Hengjie and Bansal, Ravi and Guo, Hongye and Yaron, Amir},
    title  = {{Identifying Preference for Early Resolution from Asset Prices}},
    year   = {2019},
    note   = {Working paper}
}

@article{AiyagariGertlerJME1991,
    author    = {Aiyagari, S. Rao and Gertler, Mark},
    title     = {{Asset Returns with Transactions Costs and Uninsured Individual Risk}},
    journal   = {Journal of Monetary Economics},
    volume    = {27},
    number    = {3},
    pages     = {311--331},
    year      = {1991},
    publisher = {Elsevier}
}

@article{Aiyagari_etalJPE2002,
    author  = {Aiyagari, S. Rao and Marcet, Albert and Sargent, Thomas J. and Sepp{\"a}l{\"a}, Juha},
    title   = {{Optimal Taxation without State-Contingent Debt}},
    journal = {Journal of Political Economy},
    volume  = {110},
    number  = {6},
    pages   = {1220--1254},
    year    = {2002},
    month   = {December}
}

@article{AlbanesiArmenterReStud2012,
    author  = {Albanesi, Stefania and Armenter, Roc},
    title   = {{Intertemporal Distortions in the Second Best}},
    journal = {Review of Economic Studies},
    volume  = {79},
    number  = {4},
    pages   = {1271--1307},
    year    = {2012}
}

@article{Albuquerque_etalJF2016,
    author  = {Albuquerque, Rui and Eichenbaum, Martin and Luo, Victor and Rebelo, Sergio},
    title   = {{Valuation Risk and Asset Pricing}},
    journal = {Journal of Finance},
    volume  = {71},
    number  = {6},
    pages   = {2861--2904},
    year    = {2016}
}

@techreport{AllenKastlWittwerWP2020,
    author      = {Allen, Jason and Kastl, Jakub and Wittwer, Milena},
    title       = {{Primary Dealers and the Demand for Government Debt}},
    institution = {Bank of Canada},
    type        = {Staff Working Papers},
    year        = {2020}
}

@article{AngeletosQJE2002,
    author  = {Angeletos, George-Marios},
    title   = {{Fiscal Policy with Noncontingent Debt and the Optimal Maturity Structure}},
    journal = {The Quarterly Journal of Economics},
    volume  = {117},
    number  = {3},
    pages   = {1105--1131},
    year    = {2002},
    month   = {August}
}

@article{ArellanoRamanarayananJPE2012,
    author  = {Arellano, Cristina and Ramanarayanan, Ananth},
    title   = {{Default and the Maturity Structure in Sovereign Bonds}},
    journal = {Journal of Political Economy},
    volume  = {120},
    number  = {2},
    pages   = {187--232},
    year    = {2012}
}

@article{AtkesonOhanianQR2001,
    author  = {Atkeson, Andrew and Ohanian, Lee E.},
    title   = {{Are Phillips Curves Useful for Forecasting Inflation?}},
    journal = {Quarterly Review},
    volume  = {25},
    number  = {Win},
    pages   = {2--11},
    year    = {2001}
}

@article{BansalShaliastovichRFS2013,
    author  = {Bansal, Ravi and Shaliastovich, Ivan},
    title   = {{A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets}},
    journal = {Review of Financial Studies},
    volume  = {26},
    number  = {1},
    pages   = {1--33},
    year    = {2013}
}

@article{BansalYaronJF2004,
    author  = {Bansal, Ravi and Yaron, Amir},
    title   = {{Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles}},
    journal = {Journal of Finance},
    volume  = {59},
    number  = {4},
    pages   = {1481--1509},
    year    = {2004}
}

@article{BarroJPE1979,
    author  = {Barro, Robert J.},
    title   = {{On the Determination of the Public Debt}},
    journal = {Journal of Political Economy},
    volume  = {87},
    number  = {5},
    pages   = {940--971},
    year    = {1979}
}

@article{BarroRedlickQJE2011,
    author  = {Barro, Robert J. and Redlick, Charles J.},
    title   = {{Macroeconomic Effects from Government Purchases and Taxes}},
    journal = {The Quarterly Journal of Economics},
    volume  = {126},
    number  = {1},
    pages   = {51--102},
    year    = {2011}
}

@article{BassettoCuiJEDC2018,
    author  = {Bassetto, Marco and Cui, Wei},
    title   = {{The Fiscal Theory of the Price Level in a World of Low Interest Rates}},
    journal = {Journal of Economic Dynamics and Control},
    volume  = {89},
    pages   = {5--22},
    year    = {2018}
}

@article{BeelerCampbellCFR2012,
    author  = {Beeler, Jason and Campbell, John Y.},
    title   = {{The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment}},
    journal = {Critical Finance Review},
    volume  = {1},
    number  = {1},
    pages   = {141--182},
    year    = {2012}
}

@article{BEGS2,
    author  = {Bhandari, Anmol and Evans, David and Golosov, Mikhail and Sargent, Thomas J.},
    title   = {{Inequality, Business Cycles, and Monetary-Fiscal Policy}},
    journal = {Econometrica},
    volume  = {89},
    number  = {6},
    pages   = {2559--2599},
    year    = {2021}
}



@article{lucas2016credit,
    author    = {Lucas, Deborah},
    title     = {{Credit Policy as Fiscal Policy}},
    journal   = {Brookings Papers on Economic Activity},
    volume    = {2016},
    number    = {1},
    pages     = {1--57},
    year      = {2016},
    publisher = {Brookings Institution Press}
}

@article{lucas1978asset,
    title     = {{Asset Prices in an Exchange Economy}},
    author    = {Lucas, Robert E.},
    journal   = {Econometrica},
    pages     = {1429--1445},
    year      = {1978},
    publisher = {JSTOR}
}

@article{litterman1991common,
    title    = {{Common Factors Affecting Bond Returns}},
    author   = {Litterman, Robert B. and Scheinkman, Jose},
    journal  = {Journal of Fixed Income},
    pages    = {54--61},
    year     = {1991}
}

@incollection{piazzesi2010affine,
    title     = {{Affine Term Structure Models}},
    author    = {Piazzesi, Monika},
    booktitle = {Handbook of Financial Econometrics: Tools and Techniques},
    pages     = {691--766},
    year      = {2010},
    publisher = {Elsevier}
}




@article{zhu1992optimal,
    title     = {{Optimal Fiscal Policy in a Stochastic Growth Model}},
    author    = {Zhu, Xiaodong},
    journal   = {Journal of Economic Theory},
    volume    = {58},
    number    = {2},
    pages     = {250--289},
    year      = {1992},
    publisher = {Elsevier}
}

@article{ViceiraJF2001,
    author  = {Viceira, Luis M.},
    title   = {{Optimal Portfolio Choice for Long Horizon Investors with Nontradable Labor Income}},
    journal = {Journal of Finance},
    volume  = {56},
    number  = {2},
    pages   = {433--470},
    year    = {2001},
    month   = {April}
}

@article{WachterJFE2006,
    author    = {Wachter, Jessica A.},
    title     = {{A Consumption-Based Model of the Term Structure of Interest Rates}},
    journal   = {Journal of Financial Economics},
    volume    = {79},
    number    = {2},
    pages     = {365--399},
    year      = {2006},
    publisher = {Elsevier}
}

@article{WachterJFQA2002,
    author  = {Wachter, Jessica A.},
    title   = {{Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets}},
    journal = {Journal of Financial and Quantitative Analysis},
    volume  = {37},
    number  = {1},
    pages   = {63--91},
    year    = {2002}
}

@article{WerningQJE2007,
    author  = {Werning, Iv{\'a}n},
    title   = {{Optimal Fiscal Policy with Redistribution}},
    journal = {The Quarterly Journal of Economics},
    volume  = {122},
    number  = {3},
    pages   = {925--967},
    year    = {2007}
}


@inproceedings{Rouwenhorst1995AssetPI,
    author = {Rouwenhorst, K. Geert},
    title  = {{Asset Pricing Implications of Equilibrium Business Cycle Models}},
    year   = {1995}
}

@article{auerbach1994generational,
    author  = {Auerbach, Alan J. and Gokhale, Jagadeesh and Kotlikoff, Laurence J.},
    title   = {{Generational Accounting: A Meaningful Way to Evaluate Fiscal Policy}},
    journal = {Journal of Economic Perspectives},
    volume  = {8},
    number  = {1},
    pages   = {73--94},
    year    = {1994}
}

@article{samuelson1958exact,
    title     = {{An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money}},
    author    = {Samuelson, Paul A.},
    journal   = {Journal of Political Economy},
    volume    = {66},
    number    = {6},
    pages     = {467--482},
    year      = {1958},
    publisher = {The University of Chicago Press}
}

@article{diamond1965national,
    title     = {{National Debt in a Neoclassical Growth Model}},
    author    = {Diamond, Peter A.},
    journal   = {The American Economic Review},
    volume    = {55},
    number    = {5},
    pages     = {1126--1150},
    year      = {1965}
}

@article{longstaff2004flight,
    title     = {{The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices}},
    author    = {Longstaff, Francis A.},
    journal   = {The Journal of Business},
    volume    = {77},
    number    = {3},
    pages     = {511--526},
    year      = {2004},
    publisher = {University of Chicago Press}
    }

@article{lagos2010asset,
    title     = {{Asset Prices and Liquidity in an Exchange Economy}},
    author    = {Lagos, Ricardo},
    journal   = {Journal of Monetary Economics},
    volume    = {57},
    number    = {8},
    pages     = {913--930},
    year      = {2010},
    publisher = {Elsevier}
    }

@article{HolmstromTiroleJPE1998,
    title     = {{Private and Public Supply of Liquidity}},
    author    = {Holmstrom, Bengt and Tirole, Jean},
    journal   = {Journal of Political Economy},
    volume    = {106},
    number    = {1},
    pages     = {1--40},
    year      = {1998},
    publisher = {University of Chicago Press}
    }


@article{JagannathanMaJF2003,
    author  = {Jagannathan, Ravi and Ma, Tongshu},
    title   = {{Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps}},
    journal = {Journal of Finance},
    volume  = {58},
    number  = {4},
    pages   = {1651--1683},
    year    = {2003}
}

@incollection{JagannathanHB2010,
    author    = {Jagannathan, Ravi and Skoulakis, Georgios and Wang, Zhenyu},
    title     = {{The Analysis of the Cross-Section of Security Returns}},
    booktitle = {Handbook of Financial Econometrics: Applications},
    editor    = {Ait-Sahalia, Yacine and Hansen, Lars Peter},
    publisher = {Elsevier},
    series    = {Handbooks in Finance},
    volume    = {2},
    pages     = {73--134},
    year      = {2010},
    address   = {San Diego}
}

@techreport{Jiang_etalWP2019,
    author      = {Jiang, Zhengyang and Lustig, Hanno and Van Nieuwerburgh, Stijn and Xiaolan, Mindy Z.},
    title       = {{The U.S. Public Debt Valuation Puzzle}},
    institution = {National Bureau of Economic Research, Inc},
    type        = {NBER Working Papers},
    number      = {26583},
    year        = {2019},
    month       = {December}
}

@techreport{Jiang_etalWP2020,
    author      = {Jiang, Zhengyang and Lustig, Hanno and Van Nieuwerburgh, Stijn and Xiaolan, Mindy Z.},
    title       = {{Manufacturing Risk-free Government Debt}},
    institution = {National Bureau of Economic Research, Inc},
    type        = {NBER Working Papers},
    number      = {27786},
    year        = {2020},
    month       = {September}
}

@article{Joyce_etalEJ2012,
    author  = {Joyce, Michael and Miles, David and Scott, Andrew and Vayanos, Dimitri},
    title   = {{Quantitative Easing and Unconventional Monetary Policy - An Introduction}},
    journal = {Economic Journal},
    volume  = {122},
    number  = {564},
    pages   = {F271--F288},
    year    = {2012}
}

@article{KarantouniasReStud2018,
    author  = {Karantounias, Anastasios G.},
    title   = {{Optimal Fiscal Policy with Recursive Preferences}},
    journal = {Review of Economic Studies},
    volume  = {85},
    number  = {4},
    pages   = {2283--2317},
    year    = {2018}
}

@article{Klibanoff_etalEcta2005,
    author    = {Klibanoff, Peter and Marinacci, Massimo and Mukerji, Sujoy},
    title     = {{A Smooth Model of Decision Making under Ambiguity}},
    journal   = {Econometrica},
    volume    = {73},
    number    = {6},
    pages     = {1849--1892},
    year      = {2005},
    publisher = {Wiley, Econometric Society}
}

@article{Klibanoff_etalJET2009,
    author  = {Klibanoff, Peter and Marinacci, Massimo and Mukerji, Sujoy},
    title   = {{Recursive Smooth Ambiguity Preferences}},
    journal = {Journal of Economic Theory},
    volume  = {144},
    number  = {3},
    pages   = {930--976},
    year    = {2009},
    month   = {May}
}

@book{KocherlakotaNDPF,
    author    = {Kocherlakota, Narayana R.},
    title     = {{The New Dynamic Public Finance}},
    publisher = {Princeton University Press},
    series    = {Economics Books},
    number    = {9222},
    year      = {2010}
}

@article{KoijenYogoJPE2019,
    author  = {Koijen, Ralph S. J. and Yogo, Motohiro},
    title   = {{A Demand System Approach to Asset Pricing}},
    journal = {Journal of Political Economy},
    volume  = {127},
    number  = {4},
    pages   = {1475--1515},
    year    = {2019}
}

@article{KrepsPorteusEcta1978,
    author  = {Kreps, David M. and Porteus, Evan L.},
    title   = {{Temporal Resolution of Uncertainty and Dynamic Choice Theory}},
    journal = {Econometrica},
    volume  = {46},
    number  = {1},
    pages   = {185--200},
    year    = {1978},
    month   = {January}
}

@article{KrishnamurthyVissingJorgensenBPEA2011,
    author  = {Krishnamurthy, Arvind and Vissing-Jorgensen, Annette},
    title   = {{The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy}},
    journal = {Brookings Papers on Economic Activity},
    pages   = {215--265},
    year    = {2011}
}

@article{KrishnamurthyVissingJorgensenJPE2012,
    author  = {Krishnamurthy, Arvind and Vissing-Jorgensen, Annette},
    title   = {{The Aggregate Demand for Treasury Debt}},
    journal = {Journal of Political Economy},
    volume  = {120},
    number  = {2},
    pages   = {233--267},
    year    = {2012}
}

@article{KyleEcta1985,
    author  = {Kyle, Albert S.},
    title   = {{Continuous Auctions and Insider Trading}},
    journal = {Econometrica},
    volume  = {53},
    number  = {6},
    pages   = {1315--1335},
    year    = {1985},
    month   = {November}
}

@article{LagosRocheteauECTA2009,
    author  = {Lagos, Ricardo and Rocheteau, Guillaume},
    title   = {{Liquidity in Asset Markets With Search Frictions}},
    journal = {Econometrica},
    volume  = {77},
    number  = {2},
    pages   = {403--426},
    year    = {2009}
}

@article{LettauWachterJFE2011,
    author  = {Lettau, Martin and Wachter, Jessica A.},
    title   = {{The Term Structures of Equity and Interest Rates}},
    journal = {Journal of Financial Economics},
    volume  = {101},
    number  = {1},
    pages   = {90--113},
    year    = {2011},
    month   = {July}
}

@book{LjungqvistSargentBOOK,
    author    = {Ljungqvist, Lars and Sargent, Thomas J.},
    title     = {{Recursive Macroeconomic Theory, Third Edition}},
    publisher = {MIT Press},
    year      = {2012}
}

@article{LucasStokeyJME1983,
    author  = {Lucas, Robert E. and Stokey, Nancy L.},
    title   = {{Optimal Fiscal and Monetary Policy in an Economy without Capital}},
    journal = {Journal of Monetary Economics},
    volume  = {12},
    number  = {1},
    pages   = {55--93},
    year    = {1983}
}

@article{LucasZeldesAER2009,
    author  = {Lucas, Deborah and Zeldes, Stephen},
    title   = {{How Should Public Pension Plans Invest?}},
    journal = {American Economic Review},
    volume  = {99},
    number  = {2},
    pages   = {527--532},
    year    = {2009}
}


@article{LudvigsonNgRFS2009,
    author  = {Ludvigson, Sydney C. and Ng, Serena},
    title   = {{Macro Factors in Bond Risk Premia}},
    journal = {Review of Financial Studies},
    volume  = {22},
    number  = {12},
    pages   = {5027--5067},
    year    = {2009},
    month   = {December}
}

@article{Lustig_etalJME2008,
    author  = {Lustig, Hanno and Sleet, Christopher and Yeltekin, Sevin},
    title   = {{Fiscal Hedging with Nominal Assets}},
    journal = {Journal of Monetary Economics},
    volume  = {55},
    number  = {4},
    pages   = {710--727},
    year    = {2008}
}

@article{Maccheroni_etalEcta2006,
    author  = {Maccheroni, Fabio and Marinacci, Massimo and Rustichini, Aldo},
    title   = {{Ambiguity Aversion, Robustness, and the Variational Representation of Preferences}},
    journal = {Econometrica},
    volume  = {74},
    number  = {6},
    pages   = {1447--1498},
    year    = {2006},
    month   = {November}
}

@article{Maccheroni_etalJET2006,
    author  = {Maccheroni, Fabio and Marinacci, Massimo and Rustichini, Aldo},
    title   = {{Dynamic Variational Preferences}},
    journal = {Journal of Economic Theory},
    volume  = {128},
    number  = {1},
    pages   = {4--44},
    year    = {2006}
}

@article{MankiwAER2000,
    author  = {Mankiw, N. Gregory},
    title   = {{The Savers-Spenders Theory of Fiscal Policy}},
    journal = {American Economic Review},
    volume  = {90},
    number  = {2},
    pages   = {120--125},
    year    = {2000},
    month   = {May}
}

@techreport{MarcetMarimon,
    author      = {Marcet, Albert and Marimon, Ramon},
    title       = {{Recursive Contracts}},
    institution = {Department of Economics and Business, Universitat Pompeu Fabra},
    type        = {Economics Working Papers},
    number      = {337},
    year        = {1994},
    month       = {September}
}

@book{Markowitz,
    author    = {Markowitz, Harry M.},
    title     = {{Portfolio Selection: Efficient Diversification of Investments}},
    publisher = {John Wiley \& Sons},
    address   = {New York},
    year      = {1959}
}

@article{MehraPrescottJME1985,
    author  = {Mehra, Rajnish and Prescott, Edward C.},
    title   = {{The Equity Premium: A Puzzle}},
    journal = {Journal of Monetary Economics},
    volume  = {15},
    number  = {2},
    pages   = {145--161},
    year    = {1985},
    month   = {March}
}

@article{MertonReStat1969,
    author  = {Merton, Robert C.},
    title   = {{Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case}},
    journal = {Review of Economics and Statistics},
    volume  = {51},
    number  = {3},
    pages   = {247--257},
    year    = {1969}
}

@article{MertonJET1971,
    author  = {Merton, Robert C.},
    title   = {{Optimum Consumption and Portfolio Rules in a Continuous-Time Model}},
    journal = {Journal of Economic Theory},
    volume  = {3},
    number  = {4},
    pages   = {373--413},
    year    = {1971},
    month   = {December}
}

@article{MertonEcta1973,
    author  = {Merton, Robert C.},
    title   = {{An Intertemporal Capital Asset Pricing Model}},
    journal = {Econometrica},
    volume  = {41},
    number  = {5},
    pages   = {867--887},
    year    = {1973}
}

@book{Missale1999,
    author    = {Missale, Alessandro},
    title     = {{Public Debt Management}},
    publisher = {Oxford University Press},
    year      = {1999}
}

@article{NosbuschEJ2008,
    author  = {Nosbusch, Yves},
    title   = {{Interest Costs and the Optimal Maturity Structure of Government Debt}},
    journal = {Economic Journal},
    volume  = {118},
    number  = {527},
    pages   = {477--498},
    year    = {2008},
    month   = {March}
}

@article{PiazzesiSchneiderNBERMA2006,
    author    = {Piazzesi, Monika and Schneider, Martin},
    title     = {{Equilibrium Yield Curves}},
    journal   = {NBER Macroeconomics Annual},
    volume    = {21},
    pages     = {389--472},
    year      = {2006},
    publisher = {MIT Press}
}

@article{PikettySaezEcta2013,
    author  = {Piketty, Thomas and Saez, Emmanuel},
    title   = {{A Theory of Optimal Inheritance Taxation}},
    journal = {Econometrica},
    volume  = {81},
    number  = {5},
    pages   = {1851--1886},
    year    = {2013}
}

@article{SaezRestud2001,
    author  = {Saez, Emmanuel},
    title   = {{Using Elasticities to Derive Optimal Income Tax Rates}},
    journal = {Review of Economic Studies},
    volume  = {68},
    number  = {1},
    pages   = {205--229},
    year    = {2001},
    month   = {January}
}

@article{SamuelsonReStud1970,
    author    = {Samuelson, Paul A.},
    title     = {{The Fundamental Approximation Theorem of Portfolio Analysis in Terms of Means, Variances and Higher Moments}},
    journal   = {Review of Economic Studies},
    volume    = {37},
    number    = {4},
    pages     = {537--542},
    year      = {1970},
    publisher = {Oxford University Press}
}
@article{SchmittUribeJET2004,
    author    = {Schmitt-Groh{\'e}, Stephanie and Uribe, Mart{\'i}n},
    title     = {{Optimal Fiscal and Monetary Policy under Sticky Prices}},
    journal   = {Journal of Economic Theory},
    volume    = {114},
    number    = {2},
    pages     = {198--230},
    year      = {2004},
    publisher = {Elsevier}
}

@article{SchorfheideSongYaronEcta2018,
    author  = {Schorfheide, Frank and Song, Dongho and Yaron, Amir},
    title   = {{Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach}},
    journal = {Econometrica},
    volume  = {86},
    number  = {2},
    pages   = {617--654},
    year    = {2018}
}

@article{Senneret_etalIEEE2016,
    author  = {Senneret, Marc and Malevergne, Yannick and Abry, Patrice and Perrin, Gerald and Jaffres, Laurent},
    title   = {{Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation}},
    journal = {IEEE Journal of Selected Topics in Signal Processing},
    volume  = {10},
    number  = {6},
    pages   = {982--993},
    year    = {2016},
    month   = {September}
}

@article{StockWatsonJMCB2007,
    author  = {Stock, James H. and Watson, Mark W.},
    title   = {{Why Has U.S. Inflation Become Harder to Forecast?}},
    journal = {Journal of Money, Credit and Banking},
    volume  = {39},
    number  = {s1},
    pages   = {3--33},
    year    = {2007}
}

@article{StrzaleckiEcta2011,
    author  = {Strzalecki, Tomasz},
    title   = {{Axiomatic Foundations of Multiplier Preferences}},
    journal = {Econometrica},
    volume  = {79},
    number  = {1},
    pages   = {47--73},
    year    = {2011},
    month   = {January}
}

@article{VayanosVilaEcta2021,
    author  = {Vayanos, Dimitri and Vila, Jean-Luc},
    title   = {{A Preferred-Habitat Model of the Term Structure of Interest Rates}},
    journal = {Econometrica},
    volume  = {89},
    number  = {1},
    pages   = {77--112},
    year    = {2021}
}

@article{WachterJFE2006,
    author    = {Wachter, Jessica A.},
    title     = {{A Consumption-Based Model of the Term Structure of Interest Rates}},
    journal   = {Journal of Financial Economics},
    volume    = {79},
    number    = {2},
    pages     = {365--399},
    year      = {2006},
    publisher = {Elsevier}
}

@article{WachterJFQA2002,
    author  = {Wachter, Jessica A.},
    title   = {{Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets}},
    journal = {Journal of Financial and Quantitative Analysis},
    volume  = {37},
    number  = {1},
    pages   = {63--91},
    year    = {2002}
}

@article{WerningQJE2007,
    author  = {Werning, Iv{\'a}n},
    title   = {{Optimal Fiscal Policy with Redistribution}},
    journal = {The Quarterly Journal of Economics},
    volume  = {122},
    number  = {3},
    pages   = {925--967},
    year    = {2007}
}

@article{Woodford1990,
    author    = {Woodford, Michael},
    title     = {{Public Debt as Private Liquidity}},
    journal   = {The American Economic Review},
    volume    = {80},
    number    = {2},
    pages     = {382--388},
    year      = {1990},
    publisher = {American Economic Association},
    note      = {Papers and Proceedings of the Hundred and Second Annual Meeting of the American Economic Association}
}

@article{samuelson1958exact,
    author    = {Samuelson, Paul A.},
    title     = {{An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money}},
    journal   = {Journal of Political Economy},
    volume    = {66},
    number    = {6},
    pages     = {467--482},
    year      = {1958},
    publisher = {The University of Chicago Press}
}

@article{lucas1978asset,
    title     = {{Asset Prices in an Exchange Economy}},
    author    = {Lucas, Robert E.},
    journal   = {Econometrica},
    pages     = {1429--1445},
    year      = {1978},
    publisher = {JSTOR}
}


@article{dai2000specification,
    title     = {{Specification Analysis of Affine Term Structure Models}},
    author    = {Dai, Qiang and Singleton, Kenneth J.},
    journal   = {The Journal of Finance},
    volume    = {55},
    number    = {5},
    pages     = {1943--1978},
    year      = {2000},
    publisher = {Wiley Online Library}
}


@techreport{mian2022goldilocks,
    author      = {Mian, Atif R. and Straub, Ludwig and Sufi, Amir},
    title       = {{A Goldilocks Theory of Fiscal Deficits}},
    institution = {National Bureau of Economic Research, Inc},
    type        = {NBER Working Papers},
    number      = {29707},
    year        = {2022},
    month       = {January}
}

@article{campbell1998econometrics,
    author    = {Campbell, John Y. and Lo, Andrew W. and MacKinlay, A. Craig and Whitelaw, Robert F.},
    title     = {{The Econometrics of Financial Markets}},
    journal   = {Macroeconomic Dynamics},
    volume    = {2},
    number    = {4},
    pages     = {559--562},
    year      = {1998},
    publisher = {Cambridge University Press}
}

@article{barro1981,
    author    = {Barro, Robert J.},
    title     = {{Output Effects of Government Purchases}},
    journal   = {Journal of Political Economy},
    volume    = {89},
    number    = {6},
    pages     = {1086--1121},
    year      = {1981},
    publisher = {University of Chicago Press}
}

@article{kingston1987,
    author    = {Kingston, Christopher},
    title     = {{Expectations, Credibility, and Time Consistency: A Framework for Monetary Policy}},
    journal   = {The Journal of Economic Perspectives},
    volume    = {1},
    number    = {4},
    pages     = {137--147},
    year      = {1987},
    publisher = {American Economic Association}
}

@article{mankiw1987,
    author    = {Mankiw, N. Gregory},
    title     = {{The Optimal Collection of Seigniorage: Theory and Evidence}},
    journal   = {Journal of Monetary Economics},
    volume    = {20},
    number    = {2},
    pages     = {327--341},
    year      = {1987},
    publisher = {Elsevier}
}

@article{bohn1990,
    author    = {Bohn, Henning},
    title     = {{Tax Smoothing with Financial Instruments}},
    journal   = {American Economic Review},
    volume    = {80},
    number    = {5},
    pages     = {1217--1230},
    year      = {1990},
    publisher = {American Economic Association}
}

@article{marcet2009,
    author    = {Marcet, Albert and Scott, Andrew},
    title     = {{Debt and Deficit Fluctuations and the Structure of Bond Markets}},
    journal   = {Journal of Economic Theory},
    volume    = {144},
    number    = {1},
    pages     = {473--501},
    year      = {2009},
    publisher = {Elsevier}
}

@article{lucas2016credit,
    author    = {Lucas, Deborah},
    title     = {{Credit Policy as Fiscal Policy}},
    journal   = {Brookings Papers on Economic Activity},
    volume    = {2016},
    number    = {1},
    pages     = {1--57},
    year      = {2016},
    publisher = {Brookings Institution Press}
}

@article{BueraNicolini_etalJME2004,
    author  = {Buera, Francisco and Nicolini, Juan Pablo},
    title   = {{Optimal Maturity of Government Debt without State Contingent Bonds}},
    journal = {Journal of Monetary Economics},
    volume  = {51},
    number  = {3},
    pages   = {531--554},
    year    = {2004},
    month   = {April}
}

@article{BohnAER1990,
    author    = {Bohn, Henning},
    title     = {{Tax Smoothing with Financial Instruments}},
    journal   = {American Economic Review},
    volume    = {80},
    number    = {5},
    pages     = {1217--1230},
    year      = {1990},
    publisher = {American Economic Association}
}

@article{Chari_etalJPE1994,
    author    = {Chari, V. V. and Christiano, Lawrence J. and Kehoe, Patrick J.},
    title     = {{Optimal Fiscal Policy in a Business Cycle Model}},
    journal   = {Journal of Political Economy},
    volume    = {102},
    number    = {4},
    pages     = {617--652},
    year      = {1994},
    month     = {August},
    publisher = {University of Chicago Press}
}

@article{FarhiJPE2010,
    author  = {Farhi, Emmanuel},
    title   = {{Capital Taxation and Ownership when Markets Are Incomplete}},
    journal = {Journal of Political Economy},
    volume  = {118},
    number  = {5},
    pages   = {908--948},
    year    = {2010}
}

@article{Faraglia_etalReStud2018,
    author  = {Faraglia, Elisa and Marcet, Albert and Oikonomou, Rigas and Scott, Andrew},
    title   = {{Government Debt Management: The Long and the Short of It}},
    journal = {Review of Economic Studies},
    pages   = {2554--2604},
    year    = {2018}
}

@article{Bhandari_etalQJE2017,
    author  = {Bhandari, Anmol and Evans, David and Golosov, Mikhail and Sargent, Thomas J.},
    title   = {{Fiscal Policy and Debt Management with Incomplete Markets}},
    journal = {The Quarterly Journal of Economics},
    volume  = {132},
    number  = {2},
    pages   = {617--663},
    year    = {2017}
}

@article{GreenwoodVayanosRFS2014,
    author  = {Greenwood, Robin and Vayanos, Dimitri},
    title   = {{Bond Supply and Excess Bond Returns}},
    journal = {Review of Financial Studies},
    volume  = {27},
    number  = {3},
    pages   = {663--713},
    year    = {2014}
}

@article{CampbellViceiraQJE1999,
    author  = {Campbell, John Y. and Viceira, Luis M.},
    title   = {{Consumption and Portfolio Decisions when Expected Returns Are Time Varying}},
    journal = {The Quarterly Journal of Economics},
    volume  = {114},
    number  = {2},
    pages   = {433--495},
    year    = {1999}
}

@article{CampbellViceiraAER2001,
    author  = {Campbell, John Y. and Viceira, Luis M.},
    title   = {{Who Should Buy Long-Term Bonds?}},
    journal = {American Economic Review},
    volume  = {91},
    number  = {1},
    pages   = {99--127},
    year    = {2001},
    month   = {March}
}

@article{Debortoli_etalQJE2017,
    author  = {Debortoli, Davide and Nunes, Ricardo and Yared, Pierre},
    title   = {{Optimal Time-Consistent Government Debt Maturity}},
    journal = {The Quarterly Journal of Economics},
    volume  = {132},
    number  = {1},
    pages   = {55--102},
    year    = {2017}
}

@article{Debortoli_etalAERI2022,
    author  = {Debortoli, Davide and Nunes, Ricardo and Yared, Pierre},
    title   = {{The Commitment Benefit of Consols in Government Debt Management}},
    journal = {American Economic Review: Insights},
    volume  = {4},
    number  = {2},
    pages   = {255--70},
    year    = {2022},
    month   = {June}
}

@article{ChettyAR2009,
    author   = {Chetty, Raj},
    title    = {{Sufficient Statistics for Welfare Analysis: A Bridge Between Structural and Reduced-Form Methods}},
    journal  = {Annual Review of Economics},
    volume   = {1},
    number   = {1},
    pages    = {451--488},
    year     = {2009},
    month    = {May}
}

@article{DevereuxSutherlandJEEA2011,
    author  = {Devereux, Michael B. and Sutherland, Alan},
    title   = {{Country Portfolios in Open Economy Macro-Models}},
    journal = {Journal of the European Economic Association},
    volume  = {9},
    number  = {2},
    pages   = {337--369},
    year    = {2011},
    month   = {April}
}

@article{GuuJuddET2001,
    author  = {Guu, Sy-Ming and Judd, Kenneth L.},
    title   = {{Asymptotic Methods for Asset Market Equilibrium Analysis}},
    journal = {Economic Theory},
    volume  = {18},
    number  = {1},
    pages   = {127--157},
    year    = {2001}
}

@article{EpsteinZinEcta1989,
    author  = {Epstein, Larry G. and Zin, Stanley E.},
    title   = {{Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework}},
    journal = {Econometrica},
    volume  = {57},
    number  = {4},
    pages   = {937--969},
    year    = {1989},
    month   = {July}
}

@book{Hansen2008robustness,
    author    = {Hansen, Lars Peter and Sargent, Thomas J.},
    title     = {{Robustness}},
    publisher = {Princeton University Press},
    year      = {2008}
}

@article{ErginGulJET2009,
    author  = {Ergin, Haluk and Gul, Faruk},
    title   = {{A Theory of Subjective Compound Lotteries}},
    journal = {Journal of Economic Theory},
    volume  = {144},
    number  = {3},
    pages   = {899--929},
    year    = {2009},
    month   = {May}
}

@article{GulEcta1991,
    author  = {Gul, Faruk},
    title   = {{A Theory of Disappointment Aversion}},
    journal = {Econometrica},
    volume  = {59},
    number  = {3},
    pages   = {667--686},
    year    = {1991},
    month   = {May}
}

@article{HayashiMiaoTE2011,
    author  = {Hayashi, Takashi and Miao, Jianjun},
    title   = {{Intertemporal Substitution and Recursive Smooth Ambiguity Preferences}},
    journal = {Theoretical Economics},
    volume  = {6},
    number  = {3},
    pages   = {423--472},
    year    = {2011},
    month   = {September}
}

@article{DeMiguel_etalRFS2009,
    author  = {DeMiguel, Victor and Garlappi, Lorenzo and Uppal, Raman},
    title   = {{Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?}},
    journal = {Review of Financial Studies},
    volume  = {22},
    number  = {5},
    pages   = {1915--1953},
    year    = {2009},
    month   = {May}
}

@article{CochranePiazzesiAER2005,
    author  = {Cochrane, John H. and Piazzesi, Monika},
    title   = {{Bond Risk Premia}},
    journal = {American Economic Review},
    volume  = {95},
    number  = {1},
    pages   = {138--160},
    year    = {2005},
    month   = {March}
}

@techreport{BEGS4_old,
    author      = {Bhandari, Anmol and Evans, David and Golosov, Mikhail and Sargent, Thomas J.},
    title       = {{The Optimal Maturity of Government Debt}},
    institution = {University of Chicago},
    type        = {Working Paper},
    year        = {2017}
}